Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -10.45 | -6.68 | -9.83 |
| Market Cap (Millions USD) | 9238.37 | 8057.48 | 7837.74 |
| Predicted Beta | 0.58 | 0.56 | 0.55 |
| Idiosyncratic Volatility | 4.19 | 4.49 | 5.02 |
Annualized return and volatility
| EWZ | |
|---|---|
| Annualized Return | 0.0765 |
| Annualized Std Dev | 0.3752 |
| Annualized Sharpe (Rf=0%) | 0.2038 |
Row
Daily Return Statistics
| EWZ | |
|---|---|
| Observations | 4976.0000 |
| NAs | 138.0000 |
| Minimum | -0.1963 |
| Quartile 1 | -0.0118 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0129 |
| Maximum | 0.2558 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0006 |
| Stdev | 0.0236 |
| Skewness | -0.0247 |
| Kurtosis | 7.2767 |
Downside Risk
| EWZ | |
|---|---|
| Semi Deviation | 0.0169 |
| Gain Deviation | 0.0162 |
| Loss Deviation | 0.0172 |
| Downside Deviation (MAR=210%) | 0.0212 |
| Downside Deviation (Rf=0%) | 0.0167 |
| Downside Deviation (0%) | 0.0167 |
| Maximum Drawdown | 0.7725 |
| Historical VaR (95%) | -0.0366 |
| Historical ES (95%) | -0.0541 |
| Modified VaR (95%) | -0.0350 |
| Modified ES (95%) | -0.0537 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2016-01-21 | NA | -0.7725 | 2971 | 1966 | NA |
| 2000-09-08 | 2002-10-16 | 2004-01-12 | -0.7221 | 855 | 536 | 319 |
| 2004-01-13 | 2004-05-10 | 2004-10-01 | -0.3332 | 185 | 84 | 101 |
| 2006-05-10 | 2006-06-13 | 2006-12-27 | -0.3206 | 163 | 24 | 139 |
| 2007-07-24 | 2007-08-16 | 2007-09-24 | -0.2652 | 45 | 18 | 27 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWZ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | -0.6 | 0.0 | 0.0 | 2.3 | 0.0 | 0.0 | 1.7 |
| 2001 | -4.2 | 0.0 | 0.0 | 0.1 | -1.6 | 0.0 | 1.6 | 0.0 | -2.0 | 1.8 | 0.0 | 0.0 | -4.4 |
| 2002 | 0.2 | 2.1 | 4.3 | 0.1 | 0.0 | -5.6 | 5.9 | 0.0 | 10.4 | -0.4 | 0.0 | 0.0 | 17.4 |
| 2003 | 0.0 | 0.0 | 3.6 | 0.0 | 0.0 | 1.7 | -4.0 | 0.0 | 2.8 | 0.0 | 4.0 | 0.0 | 8.1 |
| 2004 | 0.0 | 4.0 | 1.1 | 0.0 | -1.5 | 1.3 | 0.0 | -0.8 | 3.1 | 0.7 | 1.2 | 0.0 | 9.5 |
| 2005 | 0.1 | -2.6 | 1.8 | 0.0 | 1.0 | 0.3 | 2.2 | 0.4 | 0.0 | 2.3 | 3.3 | 0.0 | 9.1 |
| 2006 | -1.2 | 4.1 | 0.0 | 1.1 | 4.2 | 0.0 | -1.3 | 2.4 | 0.0 | 0.5 | -1.0 | 0.0 | 9.0 |
| 2007 | 1.6 | -0.9 | 0.0 | -0.1 | 3.2 | 0.0 | -1.0 | 0.0 | 5.2 | -2.8 | 0.0 | 0.0 | 5.1 |
| 2008 | 1.9 | 0.0 | 3.7 | 1.7 | 0.0 | -1.7 | -2.7 | 0.0 | -0.1 | 0.0 | -11.7 | 0.0 | -9.3 |
| 2009 | 0.0 | 0.0 | 4.1 | 3.7 | 4.0 | 1.2 | 0.0 | -2.3 | -2.4 | 0.0 | 3.2 | 0.0 | 11.9 |
| 2010 | 4.5 | 1.9 | 1.8 | 0.0 | -1.4 | 1.8 | 0.0 | 4.1 | 1.5 | 1.3 | 2.3 | 0.0 | 19.3 |
| 2011 | 2.0 | -1.5 | 2.2 | 0.0 | -2.1 | 1.1 | -0.7 | 0.6 | 0.0 | -2.9 | 1.5 | 0.0 | 0.1 |
| 2012 | 2.7 | 1.8 | 0.0 | 0.6 | -2.5 | 0.0 | 0.4 | 0.0 | 0.9 | 2.0 | 0.0 | 0.0 | 5.8 |
| 2013 | 0.5 | 0.1 | -0.9 | -1.2 | 0.0 | -0.2 | 0.9 | 0.0 | 1.0 | -1.1 | 0.0 | 0.0 | -0.9 |
| 2014 | 0.0 | 0.0 | 0.2 | -0.4 | 0.0 | 0.2 | 0.5 | 0.0 | -3.5 | 0.0 | -4.1 | 0.0 | -7.0 |
| 2015 | 0.0 | 0.0 | 2.8 | 0.0 | 0.7 | -1.6 | 0.0 | -4.6 | 0.0 | 0.0 | 0.3 | 0.0 | -2.6 |
| 2016 | 0.3 | 5.3 | 2.2 | 0.0 | 1.7 | 1.2 | -2.1 | 0.3 | 0.0 | -3.4 | -6.0 | 0.0 | -1.0 |
| 2017 | 0.8 | 3.3 | 0.0 | 0.8 | -0.8 | 0.0 | 0.8 | 1.5 | 0.0 | -0.7 | 0.9 | 0.0 | 6.8 |
| 2018 | 0.3 | 0.0 | 0.0 | -1.3 | 0.5 | 0.0 | -0.3 | 0.0 | -0.1 | 2.2 | 0.0 | 0.0 | 1.4 |
| 2019 | 0.1 | -1.5 | 2.0 | -1.7 | 0.0 | 0.4 | -0.8 | 0.0 | -1.1 | 1.1 | 0.0 | -0.1 | -1.7 |
Row
Rolling Performance Chart
Snail Trail Chart
